Case Studies in Financial Engeneering (CSFE)

Área

AC Gestão > UC Mestrados

Activa nos planos curriculares

Finance > Finance > 2º Ciclo > Unidades Curriculares Obrigatórias > Case Studies in Financial Engeneering

Nível

2º Ciclo (M)

Tipo

Estruturante

Regime

Semestral

Carga Horária

Aula Teórica (T): 0.0 h/semana

Aula TeoricoPrática (TP): 3.0 h/semana

Trabalho Autónomo: 121.0 h/semestre

Créditos ECTS: 6.0

Objectivos

This course unit is split up into two parts: a) the first part covers the advanced topics in Financial Derivatives where is required the deepening of the derivatives? study and b) a second part where a series of Cases cover a wide range of financial subjects and where students are requested to assess, present and discuss several topics such as financial engineering, asset management, equity valuation, the term structure of interest rates, exotic and plain vanilla options and interest rate and market risk management.

Programa

1)Deepening the Study of Derivatives
a)The Greek letters
b)Volatility Smiles and alternative models
c)Estimating Volatilities and Correlations
d)Exotic Options
e)Principal Protected Notes and Other Structured Products
2)Case Studies in Finance
a)Case Study #1 to #87

Metodologia de avaliação

In the first part of the course we use the expositive method and exercises to deepening the knowledge in financial derivatives, while in the second part we use students? presentations and discussions to explore open questions and Cases. The first part is assessed using a final exam while the second part is assessed by Cases developed in a group basis approach.
The assessment is based in one of the following alternative ways:
(1)Class assessment (50%) - Cases
.Presentations (50% of final grade) ? 25% each (2 presentations per Group), including the powerpoints, the excel spreadsheets and other files produced for the econometric developments required.
.Reports (25% of final grade) ? 12,5% for each report on the cases presented.
.Discussions (15% of final grade) ? 7,5% for each discussion
.Class participation (10% of final grade)
(2)Final Exam ? open book ? Deepening derivatives (50%). Students may be randomly or specifically selected to defend their grades observed in the written exams.

Bibliografia

Principal